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Since ASP.NET Session State is on by default, you pay the cost in memory even if you don't use it. If you're not using Session State, turn it off and save yourself the overhead. There are serveral ways to do this:
<system.web>
<sessionState mode="Off"></sessionState>
...
<pages enableSessionState="false">
<%@ Page ... EnableSessionState="true" %>
P.S. obviously such optimization makes sense only for high-traffic web sites.